Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

Xun Li; Jingrui Sun; Jie Xiong

doi:10.1007/s00245-017-9464-7

Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

Xun Li, Jingrui Sun, Jie Xiong

Research output: Journal article publication › Journal article › Academic research › peer-review

52 Citations (Scopus)

Abstract

The optimality system, which is a linear mean-field forward–backward stochastic differential equation with constraint, is obtained by a variational method. By decoupling the optimality system, two coupled Riccati equations and an MF-BSDE are derived. It turns out that the coupled two Riccati equations are uniquely solvable. Then a complete and explicit representation is obtained for the optimal control.

Original language	English
Pages (from-to)	1-28
Number of pages	28
Journal	Applied Mathematics and Optimization
DOIs	https://doi.org/10.1007/s00245-017-9464-7
Publication status	Accepted/In press - 7 Dec 2017

Keywords

Decoupling
Linear quadratic optimal control
Mean-field backward stochastic differential equation
Optimality system
Riccati equation

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

More information

10.1007/s00245-017-9464-7

http://hdl.handle.net/10397/93912

Cite this

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Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

Abstract

Keywords

ASJC Scopus subject areas

More information

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